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Hi-
MY PROBLEM:
I want to do some system tests where I stagger my stop losses.
EXAMPLE (with arbitrary numbers):
Entry signal on bar 12 - buy 99 shares at stop price of $100
I want 3 stop losses:
Sell 33 shares at 95
Sell 33 shares at 90
Sell 33 shares at 85
Basically, I want to stagger out of the position if I was wrong and
the position is going against me.
I understand that the most granular number of shares to MetaStock is
a "position" (i.e. I cannot split a position into multiple entry /
exits).
The only option I can see is to enter 3 positions of 33 shares each
to get my 99 shares so that I can then exit each of the 3 positions
with stop losses.
I am not sure if it is possible to code this logic within Metastock.
PARAMETERS:
I normally run system tests by limiting position size to 1. I would
now need to limit position size to 3 (3 entries are really my 1
position).
I usually set the System Test Entry Size to be "% of available
equity: 100%". I can change this to be 33.3%.
CHALLENGES:
1) I am using EOD. I understand that System Tester can only generate
one signal per bar. This means I would need to execute 3 entry
positions at the same stop price for each of the 3 bars. If my stop
price is not hit on bar 13 or bar 14 of my example, then I don't
see how I can buy my other 66 shares at $100...
2) What logic can I use so that the only time entry signals result in
a new entry position is either a) when I am buying the 3 positions
across 3 bars (bars 12, 13 and 14) or b) If I do not have any
positions, thus starting the process again?
Has anyone explored this type of scenario? Any thoughts?
MetaStock has some simulation functions specific to the System Tester
that I have just become aware of e.g. Simulation.LongPositionCount.
I suspect that these simulation functions will be the key.
With Regards-
Sam
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